Systems and methods for implementing a confirmation period

ABSTRACT

Systems and methods for implementing a confirmation period are disclosed. An example method includes identifying a market condition associated with a quantity of a tradeable object of a trading strategy, wherein the market condition triggers an adjustment to the trading strategy; initiating a confirmation period in response to the market condition; when a reevaluation of the market condition during the confirmation period indicates that the market condition has ceased, preventing the adjustment to the trading strategy; and when the market condition persists throughout the confirmation period, proceeding with the adjustment to the trading strategy.

CROSS REFERENCE TO RELATED APPLICATIONS

The present application is a continuation of U.S. patent applicationSer. No. 14/163,030, filed Jan. 24, 2014, now U.S. Pat. No. 10,740,839,which is a continuation of U.S. patent application Ser. No. 13/666,431,filed Nov. 1, 2012, now U.S. Pat. No. 8,682,781, entitled “Systems andMethods for Implementing a Confirmation Period,” the contents of each ofwhich are fully incorporated herein by reference for all purposes.

BACKGROUND

An electronic trading system generally includes a trading device incommunication with an electronic exchange. The electronic exchange sendsinformation about a market, such as prices and quantities, to thetrading device. The trading device sends messages, such as messagesrelated to orders, to the electronic exchange. The electronic exchangeattempts to match quantity of an order with quantity of one or morecontra-side orders.

In addition to trading single items, a user may trade more than one itemaccording to a trading strategy. One common trading strategy is a spreadand trading according to a spread trading strategy may also be referredto as spread trading. Spread trading may attempt to capitalize onchanges or movements in the relationships between the items in thetrading strategy, for example.

BRIEF DESCRIPTION OF THE FIGURES

Certain embodiments are disclosed with reference to the followingdrawings.

FIG. 1 illustrates a block diagram representative of an exampleelectronic trading system in which certain embodiments may be employed.

FIG. 2 illustrates a block diagram of another example electronic tradingsystem in which certain embodiments may be employed.

FIG. 3 illustrates a block diagram of an example computing device whichmay be used to implement the disclosed embodiments.

FIG. 4 illustrates a block diagram of a trading strategy which may beemployed with certain disclosed embodiments.

FIGS. 5A and 5B are flowcharts representative of example machinereadable instructions that may be executed to implement disclosedembodiments.

FIG. 6 is a flowchart representative of example machine readableinstructions that may be executed to implement disclosed embodiments.

FIG. 7 is a block diagram representative of an example confirmationperiod module that can implement the example machine readableinstructions of FIGS. 5A, 5B and/or 6.

Certain embodiments will be better understood when read in conjunctionwith the provided figures, which illustrate examples. It should beunderstood, however, that the embodiments are not limited to thearrangements and instrumentality shown in the attached figures.

DETAILED DESCRIPTION

The disclosed embodiments relate to trading strategies and, moreparticularly, to systems and methods to implement a confirmation period.

Certain dynamic trading tools enable an adjustment of one or moreaspects of, for example, a spread. When a spread includes a quoting leghaving a quoting quantity and a lean or hedge leg having a leaned-onquantity, the dynamic trading tools provide the ability to adjust thequantity of the quoting leg in response to one or more conditionsassociated with, for example, an available quantity of the leaned-ontradeable object. Adjusting the quantity of the quoting leg can includechanging a quantity of the quoting leg or cancelling the quoting leg. Anexample condition having the potential to trigger an adjustment is theavailable quantity of the leaned-on tradeable object dropping below athreshold. The threshold may be based on a current quoting quantity andone or more considerations regarding the available quantity of theleaned-on object being sufficient to fill the current quoting quantity.Additional or alternative conditions may trigger an adjustment.

Adjustments executed by the dynamic trading tools typically cause acorresponding user to incur fees and/or are subject to restrictions putin place by an exchange. For example, an exchange may require a user toreceive at least one fill for every twenty quoting orders placed (oradjustments made those orders) or be subject to having orders rejectedor assessed a fee. Therefore, in some instances, frequent adjustments toa quoting quantity of a spread lead to excessive fees and/or other typesof undesirable outcomes. Moreover, some adjustments made by the dynamictrading tools, such as a cancellation of an order, cause a correspondinguser to lose a previously held position in a queue at an exchange. Inother words, adjustments can result in the corresponding order beingplaced at an end of the queue, thereby reducing a likelihood of havingthe order filled as desired.

Embodiments disclosed herein recognize that a detected condition havingthe potential to trigger an adjustment may only exist for a small amountof time and, thus, may correspond to an outlier condition. Embodimentsdisclosed herein also recognize that, in such instances, immediatelyreacting to the detected condition may be detrimental in that, forexample, a queue position is lost and/or fees may be incurred despitethe brief existence of the triggering condition. In other words,embodiments disclosed herein recognize that a market characteristicassociated with the triggering condition may quickly return or bounceback to an acceptable value, thereby rendering the correspondingadjustment unwanted.

To avoid instances in which an adjustment is automatically executed inresponse to conditions that exist only briefly, embodiments disclosedherein implement a confirmation period. The example confirmation periodsdisclosed herein reduce a number of times an order is adjusted orcancelled, in connection with, for example, a dynamically adjustedspread. In particular, when a condition having the potential to triggeran adjustment is detected, embodiments disclosed herein initiate aconfirmation period during which the condition is reevaluated. Accordingto embodiments disclosed herein, a duration of the confirmation periodis based on, for example, a fixed amount of time, a fixed number ofmarket updates, a dynamically calculated value, an identity of a marketin which one or legs of the spread are being traded, and/or any othersuitable factor. Embodiments disclosed herein determine whether thecondition that triggered the potential adjustment persists during theconfirmation or ceases to exist during the confirmation period. When thecondition persists throughout the confirmation period, embodimentsdisclosed herein proceed with the triggered adjustment. On the otherhand, when the condition ceases to exist during the confirmation period,embodiments disclosed herein prevent the triggered adjustment from beingexecuted. As a result, embodiments disclosed herein prevent anoverreaction to outlier conditions or blips in the market and, thus,maintain queue position for the corresponding trade and/or avoidincurring additional fees.

Although this description discloses embodiments including, among othercomponents, software executed on hardware, it should be noted that theembodiments are merely illustrative and should not be considered aslimiting. For example, it is contemplated that any or all of thesehardware and software components may be embodied exclusively inhardware, exclusively in software, exclusively in firmware, or in anycombination of hardware, software, and/or firmware. Accordingly, certainembodiments may be implemented in other ways.

I. BRIEF DESCRIPTION OF CERTAIN EMBODIMENTS

Certain embodiments provide an example method including identifying amarket condition associated with a quantity of a tradeable object of atrading strategy, wherein the market condition triggers an adjustment tothe trading strategy. The example method includes initiating aconfirmation period in response to the market condition. The examplemethod includes, when a reevaluation of the market condition during theconfirmation period indicates that the market condition has ceased,preventing the adjustment to the trading strategy. The example methodincludes, when the market condition persists throughout the confirmationperiod, proceeding with the adjustment to the trading strategy.

Certain embodiments provide a tangible machine readable storage mediumcomprising example instructions that, when executed, cause a machine toidentify a condition associated with a quantity of an object of astrategy, wherein a leg of the strategy leans on the object. The exampleinstructions cause the machine to initiate a confirmation period inresponse to the condition. The example instructions cause the machineto, when the condition persists throughout the confirmation period,proceed with an adjustment to the leg triggered by the detection of thecondition. The example instructions cause the machine to, when thecondition ceases during the confirmation period, prevent the adjustmentto the leg.

Certain embodiments provide an example apparatus including a computingdevice to identify a market condition associated with a quantity of atradeable object of a trading strategy, wherein the market conditiontriggers an adjustment to the trading strategy. The computing device ofthe example apparatus is to initiate a confirmation period in responseto the market condition. The computing device of the example apparatusis to prevent the adjustment to the trading strategy when a reevaluationof the market condition during the confirmation period indicates thatthe market condition has ceased. The computing device of the exampleapparatus is to proceed with the adjustment to the trading strategy whenthe market condition when the market condition persists throughout theconfirmation period.

II. EXAMPLE ELECTRONIC TRADING SYSTEM

FIG. 1 illustrates a block diagram representative of an exampleelectronic trading system 100 in which certain embodiments may beemployed. The system 100 includes a trading device 110, a gateway 120,and an exchange 130. The trading device 110 is in communication with thegateway 120. The gateway 120 is in communication with the exchange 130.As used herein, the phrase “in communication” encompasses directcommunication and/or indirect communication through one or moreintermediary components. The exemplary electronic trading system 100depicted in FIG. 1 may be in communication with additional components,subsystems, and elements to provide additional functionality andcapabilities without departing from the teaching and disclosure providedherein.

In operation, the trading device 110 may receive market data from theexchange 130 through the gateway 120. A user may utilize the tradingdevice 110 to monitor this market data and/or base a decision to send anorder message to buy or sell one or more tradeable objects to theexchange 130.

Market data may include data about a market for a tradeable object. Forexample, market data may include the inside market, market depth, lasttraded price (“LTP”), a last traded quantity (“LTQ”), or a combinationthereof. The inside market is the lowest available ask price (bestoffer) and the highest available bid price (best bid) in the market fora particular tradable object at a particular point in time (since theinside market may vary over time). Market depth refers to quantitiesavailable at the inside market and at other prices away from the insidemarket. Due to the quantity available, there may be “gaps” in marketdepth.

A tradeable object is anything which may be traded. For example, acertain quantity of the tradeable object may be bought or sold for aparticular price. A tradeable object may include, for example, financialproducts, stocks, options, bonds, future contracts, currency, warrants,funds derivatives, securities, commodities, swaps, interest rateproducts, index-based products, traded events, goods, or a combinationthereof. A tradeable object may include a product listed and/oradministered by an exchange (for example, the exchange 130), a productdefined by the user, a combination of real or synthetic products, or acombination thereof. There may be a synthetic tradeable object thatcorresponds and/or is similar to a real tradeable object.

An order message is a message that includes a trade order. A trade ordermay be, for example, a command to place an order to buy or sell atradeable object, a command to initiate managing orders according to adefined trading strategy, a command to change or cancel a previouslysubmitted order (for example, modify a working order), an instruction toan electronic exchange relating to an order, or a combination thereof.

The trading device 110 may include one or more electronic computingplatforms. For example, the trading device 110 may include a desktopcomputer, hand-held device, laptop, server, a portable computing device,a trading terminal, an embedded trading system, a workstation, analgorithmic trading system such as a “black box” or “grey box” system,cluster of computers, or a combination thereof. As another example, thetrading device 110 may include a single or multi-core processor incommunication with a memory or other storage medium configured toaccessibly store one or more computer programs, applications, libraries,computer readable instructions, and the like, for execution by theprocessor.

As used herein, the phrases “configured to” and “adapted to” encompassthat an element, structure, or device has been modified, arranged,changed, or varied to perform a specific function or for a specificpurpose.

By way of example, the trading device 110 may be implemented as apersonal computer running a copy of X_TRADER®, an electronic tradingplatform provided by Trading Technologies International, Inc. ofChicago, Ill. (“Trading Technologies”). As another example, the tradingdevice 110 may be a server running a trading application providingautomated trading tools such as ADL™, AUTOSPREADER®, and/or AUTOTRADER™,also provided by Trading Technologies. In yet another example, thetrading device 110 may include a trading terminal in communication witha server, where collectively the trading terminal and the server are thetrading device 110.

The trading device 110 is generally owned, operated, controlled,programmed, configured, or otherwise used by a user. As used herein, thephrase “user” may include, but is not limited to, a human (for example,a trader), trading group (for example, group of traders), or anelectronic trading device (for example, an algorithmic trading system).One or more users may be involved in the ownership, operation, control,programming, configuration, or other use, for example.

The trading device 110 may include one or more trading applications. Asused herein, a trading application is an application that facilitates orimproves electronic trading. A trading application provides one or moreelectronic trading tools. For example, a trading application stored by atrading device may be executed to arrange and display market data in oneor more trading windows. In another example, a trading application mayinclude an automated spread trading application providing spread tradingtools. In yet another example, a trading application may include analgorithmic trading application that automatically processes analgorithm and performs certain actions, such as placing an order,modifying an existing order, deleting an order. In yet another example,a trading application may provide one or more trading screens. A tradingscreen may provide one or more trading tools that allow interaction withone or more markets. For example, a trading tool may allow a user toobtain and view market data, set order entry parameters, submit ordermessages to an exchange, deploy trading algorithms, and/or monitorpositions while implementing various trading strategies. The electronictrading tools provided by the trading application may always beavailable or may be available only in certain configurations oroperating modes of the trading application.

A trading application may include computer readable instructions thatare stored in a computer readable medium and executable by a processor.A computer readable medium may include various types of volatile andnon-volatile storage media, including, for example, random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, any combination thereof, or any other tangible datastorage device. As used herein, the term non-transitory or tangiblecomputer readable medium is expressly defined to include any type ofcomputer readable storage media and to exclude propagating signals.

One or more components or modules of a trading application may be loadedinto the computer readable medium of the trading device 110 from anothercomputer readable medium. For example, the trading application (orupdates to the trading application) may be stored by a manufacturer,developer, or publisher on one or more CDs or DVDs, which are thenloaded onto the trading device 110 or to a server from which the tradingdevice 110 retrieves the trading application. As another example, thetrading device 110 may receive the trading application (or updates tothe trading application) from a server, for example, via the Internet oran internal network. The trading device 110 may receive the tradingapplication or updates when requested by the trading device 110 (forexample, “pull distribution”) and/or un-requested by the trading device110 (for example, “push distribution”).

The trading device 110 may be adapted to send order messages. Forexample, the order messages may be sent to through the gateway 120 tothe exchange 130. As another example, the trading device 110 may beadapted to send order messages to a simulated exchange in a simulationenvironment which does not effectuate real-world trades.

The order messages may be sent at the request of a user. For example, atrader may utilize the trading device 110 to send an order message ormanually input one or more parameters for a trade order (for example, anorder price and/or quantity). As another example, an automated tradingtool provided by a trading application may calculate one or moreparameters for a trade order and automatically send the order message.In some instances, an automated trading tool may prepare the ordermessage to be sent but not actually send it without confirmation from auser.

An order message may be sent in one or more data packets or through ashared memory system. For example, an order message may be sent from thetrading device 110 to the exchange 130 through the gateway 120. Thetrading device 110 may communicate with the gateway 120 using a localarea network, a wide area network, a wireless network, a virtual privatenetwork, a T1 line, a T3 line, an integrated services digital network(“ISDN”) line, a point-of-presence, the Internet, and/or a shared memorysystem, for example.

The gateway 120 may include one or more electronic computing platforms.For example, the gateway 120 may implemented as one or more desktopcomputer, hand-held device, laptop, server, a portable computing device,a trading terminal, an embedded trading system, workstation with asingle or multi-core processor, an algorithmic trading system such as a“black box” or “grey box” system, cluster of computers, or anycombination thereof.

The gateway 120 may facilitate communication. For example, the gateway120 may perform protocol translation for data communicated between thetrading device 110 and the exchange 130. The gateway 120 may process anorder message received from the trading device 110 into a data formatunderstood by the exchange 130, for example. Similarly, the gateway 120may transform market data in an exchange-specific format received fromthe exchange 130 into a format understood by the trading device 110, forexample.

The gateway 120 may include a trading application, similar to thetrading applications discussed above, that facilitates or improveselectronic trading. For example, the gateway 120 may include a tradingapplication that tracks orders from the trading device 110 and updatesthe status of the order based on fill confirmations received from theexchange 130. As another example, the gateway 120 may include a tradingapplication that coalesces market data from the exchange 130 andprovides it to the trading device 110. In yet another example, thegateway 120 may include a trading application that provides riskprocessing, calculates implieds, handles order processing, handlesmarket data processing, or a combination thereof.

In certain embodiments, the gateway 120 communicates with the exchange130 using a local area network, a wide area network, a virtual privatenetwork, a T1 line, a T3 line, an ISDN line, a point-of-presence, theInternet, and/or a shared memory system, for example.

The exchange 130 may be owned, operated, controlled, or used by anexchange entity. Example exchange entities include the CME Group, theLondon International Financial Futures and Options Exchange, theIntercontinental Exchange, and Eurex. The exchange 130 may include anelectronic matching system, such as a computer, server, or othercomputing device, which is adapted to allow tradeable objects, forexample, offered for trading by the exchange, to be bought and sold. Theexchange 130 may include separate entities, some of which list and/oradminister tradeable objects and others which receive and match orders,for example. The exchange 130 may include an electronic communicationnetwork (“ECN”), for example.

The exchange 130 may be an electronic exchange. The exchange 130 isadapted to receive order messages and match contra-side trade orders tobuy and sell tradeable objects. Unmatched trade orders may be listed fortrading by the exchange 130. The trade orders may include trade ordersreceived from the trading device 110 or other devices in communicationwith the exchange 130, for example. For example, typically the exchange130 will be in communication with a variety of other trading devices(which may be similar to trading device 110) which also provide tradeorders to be matched.

The exchange 130 is adapted to provide market data. Market data may beprovided in one or more messages or data packets or through a sharedmemory system. For example, the exchange 130 may publish a data feed tosubscribing devices, such as the trading device 110 or gateway 120. Thedata feed may include market data.

The system 100 may include additional, different, or fewer components.For example, the system 100 may include multiple trading devices,gateways, and/or exchanges. In another example, the system 100 mayinclude other communication devices, such as middleware, firewalls,hubs, switches, routers, servers, exchange-specific communicationequipment, modems, security managers, and/or encryption/decryptiondevices.

III. EXPANDED EXAMPLE ELECTRONIC TRADING SYSTEM

FIG. 2 illustrates a block diagram of another example electronic tradingsystem 200 in which certain embodiments may be employed. In thisexample, a trading device 210 a is in communication with an exchange 230a through a gateway 220 a. The following discussion mainly focuses onthe trading device 210 a, gateway 220 a, and the exchange 230 a.However, the trading device 210 a may also be connected to andcommunicate with any number of gateways 220 n connected to exchanges 230n. The communication between the trading device 110 a and otherexchanges 230 n may be the same, similar, or different than thecommunication between the trading device 210 a and exchange 230 a.Generally, each exchange has its own preferred techniques and/or formatsfor communicating with a trading device, a gateway, the user, or anotherexchange.

The trading device 210 a, which may be similar to the trading device 110in FIG. 1, may include a server 212 a in communication with a tradingterminal 214 a. The server 212 a may be located geographically closer tothe gateway 120 than the trading terminal 214 a. As a result, the server212 a latency benefits that are not afforded to the trading terminal 214a. In operation, the trading terminal 214 a may provide a trading screento a user and communicate commands to the server 212 a for furtherprocessing. For example, a trading algorithm may be deployed to theserver 212 a for execution based on market data. The server 212 a mayexecute the trading algorithm without further input from the user. Inanother example, the server 212 a may include a trading applicationproviding automated trading tools and communicate back to the tradingterminal 214 a. The trading device 210 a may include, additional,different, or fewer components.

The trading device 210 a may communicate with the gateway 220 a usingone or more communication networks. As used herein, a communicationnetwork is any network, including the Internet, which facilitates orenables communication between, for example, the trading device 210 a,the gateway 220 a and the exchange 220 a. For example, as shown in FIG.2, the trading device 210 a may communicate with the gateway 220 aacross a multicast communication network 202 a. The data on the network202 a may be logically separated by subject (for example, prices,orders, or fills). As a result, the server 212 a and trading terminal214 a can subscribe to and receive data (for example, data relating toprices, orders, or fills) depending on their individual needs.

The gateway 220 a, which may be similar to the gateway 120 of FIG. 1,may include a price server 222 a, order server 224 a, and fill server226 a. The gateway 220 a may include additional, different, or fewercomponents. The price server 222 a may process price data. Price dataincludes data related to a market for one or more tradeable objects. Theorder server 224 a may process order data. Order data is data related toa user's trade orders. For example, order data may include ordermessages, confirmation messages, or other types of messages. The fillserver collects and provides fill data. Fill data includes data relatingto one or more fills of trade orders. For example, the fill server 226 amay provide a record of trade orders, which have been routed through theorder server 224 a, that have and have not been filled. The servers 222a, 224 a, 226 a may run on the same machine or separate machines.

The gateway 220 a may communicate with the exchange 230 a using one ormore communication networks. For example, as shown in FIG. 2, there maybe two communication networks connecting the gateway 220 a and theexchange 230 a. The network 204 a may be used to communicate market datato the price server 222 a. In some instances, the exchange 230 a mayinclude this data in a data feed that is published to subscribingdevices. The network 206 a may be used to communicate order data.

The exchange 230 a, which may be similar to the exchange 130 of FIG. 1,may include an order book 232 a and a matching engine 234 a. Theexchange 230 a may include additional, different, or fewer components.The order book 232 a is a database that includes data relating tounmatched quantity of trade orders. For example, an order book mayinclude data relating to a market for a tradeable object, such as theinside market, market depth at various price levels, the last tradedprice, and the last traded quantity. The matching engine 234 a may matchcontra-side bids and offers. For example, the matching engine 234 a mayexecute one or more matching algorithms that match contra-side bids andoffers. A sell order is contra-side to a buy order with the same price.Similarly, a buy order is contra-side to a sell order with the sameprice.

In operation, the exchange 230 a may provide price data from the orderbook 232 a to the price server 222 a and order data and/or fill datafrom the matching engine 234 a to the order server 224 a. Servers 222 a,224 a, 226 a may translate and communicate this data back to the tradingdevice 210 a. The trading device 210 a, for example, using a tradingapplication, may process this data. For example, the data may bedisplayed to a user. In another example, the data may be utilized in atrading algorithm to determine whether a trade order should be submittedto the exchange 230 a. The trading device 210 a may prepare and send anorder message to the exchange 230 a.

In certain embodiments, the gateway 220 a is part of the trading device210 a. For example, the components of the gateway 220 a may be part ofthe same computing platform as the trading device 210 a. As anotherexample, the functionality of the gateway 220 a may be performed bycomponents of the trading device 210 a. In certain embodiments, thegateway 220 a is not present. Such an arrangement may occur when thetrading device 210 a does not need to utilize the gateway 220 a tocommunicate with the exchange 230 a, for example. For example, if thetrading device 210 a has been adapted to communicate directly with theexchange 230 a.

Additional trading devices 210 b-210 e, which are similar to tradingdevice 210 a, may be connected to one or more of the gateways 220 a-220n and exchanges 230 a-230 n. Furthermore, additional gateways, similarto the gateway 220 a, may be in communication with multiple exchanges,similar to the exchange 230 a. Each gateway may be in communication withone or more different exchanges, for example. Such an arrangement may,for example, allow one or more trading devices 210 a to trade at morethan one exchange (and/or provide redundant connections to multipleexchanges).

IV. EXAMPLE COMPUTING DEVICE

FIG. 3 illustrates a block diagram of an example computing device 300which may be used to implement the disclosed embodiments. The tradingdevice 110 of FIG. 1 may include one or more computing devices 300, forexample. The gateway 120 of FIG. 1 may include one or more computingdevices 300, for example. The exchange 130 of FIG. 1 may include one ormore computing devices 300, for example.

The computing device 300 includes a communication network 310, aprocessor 312, a memory 314, an interface 316, an input device 318, andan output device 320. The computing device 300 may include additional,different, or fewer components. For example, multiple communicationnetworks, multiple processors, multiple memory, multiple interfaces,multiple input devices, multiple output devices, or any combinationthereof, may be provided. As another example, the computing device 300may not include an input device 318 or output device 320.

As shown in FIG. 3, the computing device 300 may include a processor 312coupled to a communication network 310. The communication network 310may include a communication bus, channel, electrical or optical network,circuit, switch, fabric, or other mechanism for communicating databetween components in the computing device 300. The communicationnetwork 310 may be communicatively coupled with and transfer databetween any of the components of the computing device 300.

The processor 312 may be any suitable processor, processing unit, ormicroprocessor. The processor 312 may include one or more generalprocessors, digital signal processors, application specific integratedcircuits, field programmable gate arrays, analog circuits, digitalcircuits, programmed processors, and/or combinations thereof, forexample. The processor 312 may be a single device or a combination ofdevices, such as one or more devices associated with a network ordistributed processing. Any processing strategy may be used, such asmulti-processing, multi-tasking, parallel processing, and/or remoteprocessing. Processing may be local or remote and may be moved from oneprocessor to another processor. In certain embodiments, the computingdevice 300 is a multi-processor system and, thus, may include one ormore additional processors which are communicatively coupled to thecommunication network 310.

The processor 312 may be operable to execute logic and other computerreadable instructions encoded in one or more tangible media, such as thememory 314. As used herein, logic encoded in one or more tangible mediaincludes instructions which may be executable by the processor 312 or adifferent processor. The logic may be stored as part of software,hardware, integrated circuits, firmware, and/or micro-code, for example.The logic may be received from an external communication device via acommunication network such as the network 340. The processor 312 mayexecute the logic to perform the functions, acts, or tasks illustratedin the figures or described herein.

The memory 314 may be one or more tangible media, such as computerreadable storage media, for example. Computer readable storage media mayinclude various types of volatile and non-volatile storage media,including, for example, random access memory, read-only memory,programmable read-only memory, electrically programmable read-onlymemory, electrically erasable read-only memory, flash memory, anycombination thereof, or any other tangible data storage device. As usedherein, the term non-transitory or tangible computer readable medium isexpressly defined to include any type of computer readable medium and toexclude propagating signals. The memory 314 may include any desired typeof mass storage device including hard disk drives, optical media,magnetic tape or disk, etc.

The memory 314 may include one or more memory devices. For example, thememory 314 may include local memory, a mass storage device, volatilememory, non-volatile memory, or a combination thereof. The memory 314may be adjacent to, part of, programmed with, networked with, and/orremote from processor 312, so the data stored in the memory 314 may beretrieved and processed by the processor 312, for example. The memory314 may store instructions which are executable by the processor 312.The instructions may be executed to perform one or more of the acts orfunctions described herein or shown in the figures.

The memory 314 may store a trading application 330. In certainembodiments, the trading application 330 may be accessed from or storedin different locations. The processor 312 may access the tradingapplication 330 stored in the memory 314 and execute computer-readableinstructions included in the trading application 330.

In certain embodiments, during an installation process, the tradingapplication may be transferred from the input device 318 and/or thenetwork 340 to the memory 314. When the computing device 300 is runningor preparing to run the trading application 330, the processor 312 mayretrieve the instructions from the memory 314 via the communicationnetwork 310.

V. STRATEGY TRADING

In addition to buying and/or selling a single tradeable object, a usermay trade more than one tradeable object according to a tradingstrategy. One common trading strategy is a spread and trading accordingto a trading strategy may also be referred to as spread trading. Spreadtrading may attempt to capitalize on changes or movements in therelationships between the tradeable object in the trading strategy, forexample.

An automated trading tool may be utilized to trade according to atrading strategy, for example. For example, the automated trading toolmay AUTOSPREADER®, provided by Trading Technologies.

A trading strategy defines a relationship between two or more tradeableobjects to be traded. Each tradeable object being traded as part of atrading strategy may be referred to as a leg or outright market of thetrading strategy.

When the trading strategy is to be bought, the definition for thetrading strategy specifies which tradeable object corresponding to eachleg should be bought or sold. Similarly, when the trading strategy is tobe sold, the definition specifies which tradeable objects correspondingto each leg should be bought or sold. For example, a trading strategymay be defined such that buying the trading strategy involves buying oneunit of a first tradeable object for leg A and selling one unit of asecond tradeable object for leg B. Selling the trading strategytypically involves performing the opposite actions for each leg.

In addition, the definition for the trading strategy may specify aspread ratio associated with each leg of the trading strategy. Thespread ratio may also be referred to as an order size for the leg. Thespread ratio indicates the quantity of each leg in relation to the otherlegs. For example, a trading strategy may be defined such that buyingthe trading strategy involves buying 2 units of a first tradeable objectfor leg A and selling 3 units of a second tradeable object for leg B.The sign of the spread ratio may be used to indicate whether the leg isto be bought (the spread ratio is positive) or sold (the spread ratio isnegative) when buying the trading strategy. In the example above, thespread ratio associated with leg A would be “2” and the spread ratioassociated with leg B would be “−3.”

In some instances, the spread ratio may be implied or implicit. Forexample, the spread ratio for a leg of a trading strategy may not beexplicitly specified, but rather implied or defaulted to be “1” or “4.”

In addition, the spread ratio for each leg may be collectively referredto as the spread ratio or strategy ratio for the trading strategy. Forexample, if leg A has a spread ratio of “2” and leg B has a spread ratioof “−3”, the spread ratio (or strategy ratio) for the trading strategymay be expressed as “2:−3” or as “2:3” if the sign for leg B is implicitor specified elsewhere in a trading strategy definition.

Additionally, the definition for the trading strategy may specify amultiplier associated with each leg of the trading strategy. Themultiplier is used to adjust the price of the particular leg fordetermining the price of the spread. The multiplier for each leg may bethe same as the spread ratio. For example, in the example above, themultiplier associated with leg A may be “2” and the multiplierassociated with leg B may be “−3,” both of which match the correspondingspread ratio for each leg. Alternatively, the multiplier associated withone or more legs may be different than the corresponding spread ratiosfor those legs. For example, the values for the multipliers may beselected to convert the prices for the legs into a common currency.

The following discussion assumes that the spread ratio and multipliersfor each leg are the same, unless otherwise indicated. In addition, thefollowing discussion assumes that the signs for the spread ratio and themultipliers for a particular leg are the same and, if not, the sign forthe multiplier is used to determine which side of the trading strategy aparticular leg is on.

FIG. 4 illustrates a block diagram of a trading strategy 410 which maybe employed with certain disclosed embodiments. The trading strategy 410includes “n” legs 420 (individually identified as leg 420 a to leg 420n). The trading strategy 410 defines the relationship between tradeableobjects 422 (individually identified as tradeable object 422 a totradeable object 422 n) of each of the legs 420 a to 420 n using thecorresponding spread ratios 424 a to 424 n and multipliers 426 a to 426n.

Once defined, the tradeable objects 422 in the trading strategy 410 maythen be traded together according to the defined relationship. Forexample, assume that the trading strategy 410 is a spread with two legs,leg 420 a and leg 420 b. Leg 420 a is for tradeable object 422 a and leg420 b is for tradeable object 422 b. In addition, assume that the spreadratio 424 a and multiplier 426 a associated with leg 420 a are “1” andthat the spread ratio 424 b and multiplier 426 b associated with leg 420b are “−1”. That is, the spread is defined such that when the spread isbought, 1 unit of tradeable object 422 a is bought (positive spreadratio, same direction as the spread) and 1 unit of tradeable object 422b is sold (negative spread ratio, opposite direction of the spread). Asmentioned above, typically in spread trading the opposite of thedefinition applies. That is, when the definition for the spread is suchthat when the spread is sold, 1 unit of tradeable object 422 a is sold(positive spread ratio, same direction as the spread) and 1 unit oftradeable object 422 b is bought (negative spread ratio, oppositedirection of the spread).

The price for the trading strategy 410 is determined based on thedefinition. In particular, the price for the trading strategy 410 istypically the sum of price the legs 420 comprising the tradeable objects422 multiplied by corresponding multipliers 426. The price for a tradingstrategy may be affected by price tick rounding and/or pay-up ticks.However, both of these implementation details are beyond the scope ofthis discussion and are well-known in the art.

As discussed above, a real spread may be listed at an exchange, such asexchange 130 and/or 230, as a tradeable product. In contrast, asynthetic spread may not be listed as a product at an exchange, butrather the various legs of the spread are tradeable at one or moreexchanges. For the purposes of the following example, the tradingstrategy 410 described is a synthetic trading strategy. However, similartechniques to those described below may also be applied by an exchangewhen a real trading strategy is traded.

Continuing the example from above, if it is expected or believed thattradeable object 422 a typically has a price 10 greater than tradeableobject 422 b, then it may be advantageous to buy the spread whenever thedifference in price between tradeable objects 422 a and 422 b is lessthan 10 and sell the spread whenever the difference is greater than 10.As an example, assume that tradeable object 422 a is at a price of 45and tradeable object 422 b is at a price of 40. The current spread pricemay then be determined to be (1)(45)+(−1)(40)=5, which is less than thetypical spread of 10. Thus, a user may buy 1 unit of the spread, whichresults in buying 1 unit of tradeable object 422 a at a price of 45 andselling 1 unit of tradeable object 422 b at 40. At some later time, thetypical price difference may be restored and the price of tradeableobject 422 a is 42 and the price of tradeable object 422 b is 32. Atthis point, the price of the spread is now 10. If the user sells 1 unitof the spread to close out the user's position (that is, sells 1 unit oftradeable object 422 a and buys 1 unit of tradeable object 422 b), theuser has made a profit on the total transaction. In particular, whilethe user bought tradeable object 422 a at a price of 45 and sold at 42,losing 3, the user sold tradeable object 422 b at a price of 40 andbought at 32, for a profit of 8. Thus, the user made 5 on the buying andselling of the spread.

The above example assumes that there is sufficient liquidity andstability that the tradeable objects can be bought and sold at themarket price at approximately the desired times. This allows the desiredprice for the spread to be achieved. However, more generally, a desiredprice at which to buy or sell a particular trading strategy isdetermined. Then, an automated trading tool, for example, attempts toachieve that desired price by buying and selling the legs at appropriateprices. For example, when a user instructs the trading tool to buy orsell the trading strategy 410 at a desired price, the automated tradingtool may automatically place an order (also referred to as quoting anorder) for one of the tradeable objects 422 of the trading strategy 410to achieve the desired price for the trading strategy (also referred toas a desired strategy price, desired spread price, and/or a targetprice). The leg for which the order is placed is referred to as thequoting leg. The other leg is referred to as a lean leg and/or a hedgeleg. The price that the quoting leg is quoted at is based on a targetprice that an order could be filled at in the lean leg. The target pricein the hedge leg is also known as the leaned-on price, lean price, orlean level. Typically, if there is sufficient quantity available, thetarget price may be the best bid price when selling and the best askprice when buying. The target price may be different than the best priceavailable if there is not enough quantity available at that price orbecause it is an implied price, for example. As the leaned-on pricechanges, the price for the order in the quoting leg may also change tomaintain the desired strategy price.

The leaned-on price may also be determined based on a lean multiplierand/or a lean base. A lean multiplier may specify a multiple of theorder quantity for the hedge leg that should be available to lean onthat price level. For example, if a quantity of 10 is needed in thehedge leg and the lean multiplier is 2, then the lean level may bedetermined to be the best price that has at least a quantity of 20available. A lean base may specify an additional quantity above theneeded quantity for the hedge leg that should be available to lean onthat price level. For example, if a quantity of 10 is needed in thehedge leg and the lean base is 5, then the lean level may be determinedto be the best price that has at least a quantity of 15 available. Thelean multiplier and lean base may also be used in combination. Forexample, the lean base and lean multiplier may be utilized such thatlarger of the two is used or they may be used additively to determinethe amount of quantity to be available.

When the quoting leg is filled, the automated trading tool may thensubmit an order in the hedge leg to complete the strategy. This ordermay be referred to as an offsetting or hedging order. The offsettingorder may be placed at the leaned-on price or based on the fill pricefor the quoting order, for example. If the offsetting order is notfilled (or filled sufficiently to achieve the desired strategy price),then the strategy order is said to be “legged up” or “legged” becausethe desired strategy relationship has not been achieved according to thetrading strategy definition.

In addition to having a single quoting leg, as discussed above, atrading strategy may be quoted in multiple (or even all) legs. In suchsituations, each quoted leg still leans on the other legs. When one ofthe quoted legs is filled, typically the orders in the other quoted legsare cancelled and then appropriate hedge orders are placed based on thelean prices that the now-filled quoting leg utilized.

VI. DYNAMIC LEANING

Dynamic leaning involves adjusting quantity in a quoting leg based on anavailable leaned-on quantity. For example, the quantity in the quotingleg may be reduced when the available leaned-on quantity decreases. Somedynamic leaning mechanisms and techniques are discussed in U.S. Pat. No.7,729,978, filed on Mar. 28, 2007, and U.S. patent application Ser. No.13/245,406, filed Sep. 26, 2011. The contents of U.S. Pat. No. 7,729,978and the contents of U.S. patent application Ser. No. 13/245,406 arefully incorporated herein by reference.

In some previous implementations of dynamic leaning, the quotingquantities are adjusted each time a change occurs in the correspondingavailable leaned-on quantity, regardless of a magnitude of the change inthe available leaned-on quantity. Such previous implementations have thepotential of adjusting the quoting quantities are significant number oftimes. In many exchanges, adjustment of the quoting quantity incurs afee or penalty. Alternatively, some exchanges require a certain amountof quoting quantity to be filled. Moreover, adjustment of the quotingquantity, which may include cancellation of the quoting order, oftenresults in loss of queue position. Thus, in some instances, adjustments,or at least a large number of adjustments, may be undesirable.

VII. CONFIRMATION PERIOD

FIGS. 5A, 5B and 6 are flowcharts representative of example operationsthat can be executed to implement the teachings of this disclosure. Theexample operations of FIGS. 5A, 5B and/or 6 can be implemented by, forexample, the trading application 330 stored on and executed by theexample trading device 110 of FIG. 1 and/or the example trading device210 of FIG. 2. While the example trading device 110 of FIG. 1 isdescribed as implementing the example operations of FIGS. 5A, 5B and 6below, any suitable device can implement the example operations of FIGS.5A, 5B and/or 6. The example operations of FIGS. 5A, 5B and 6 provide aconfirmation period to determine whether a triggered adjustment shouldbe prevented or implemented based on whether a condition that triggeredthe adjustment persists during the confirmation period. To achieve thisprocessing efficiency, the example operations of FIGS. 5A, 5B and 6include initiating a confirmation period in response to detection of thecondition, reevaluating the condition during and/or after theconfirmation period, and determining whether one or more parametersassociated with the condition return to value(s) that do not necessitatethe adjustment. If the example operations of FIGS. 5A, 5B and/or 6determine that the parameters of the condition have bounced back toacceptable level(s), the triggered adjustment is prevented. In someexamples, the duration of the confirmation period is fixed and based on,for example, a user configurable setting. In some examples, the durationof the confirmation period is defined by a fixed amount of time. In someexamples, the duration of the confirmation period is defined by a fixednumber of received market updates. In some examples, the duration of theconfirmation period is based on the market or exchange on which anobject of the spread is being traded. In some examples, the duration ofthe confirmation period is dynamic and based on, for example, a rollingaverage of amounts of time between market updates. Additional oralternative durations and/or bases for defining the duration arepossible.

The example of FIG. 5A begins with the trading device 110 obtaining atrading strategy (block 500). For example, the obtained trading strategymay have been placed by a user and/or generated by an automated tradingtool. The tradeable objects of a lean leg and the corresponding quotingleg of the order are identified, along with the markets or exchanges atwhich the identified tradeable objects are being traded in connectionwith the obtained trading strategy (block 502). In the illustratedexample, a trading tool implements one or more adjustment strategiesdefined by one or more adjustment rules. The example trading device 110utilizes the adjustment rules that apply to the identified tradeableobjects of the order (block 504). The rules of the illustrated exampleinclude one or more adjustments to be made to one or more aspects of thetrading strategy in response to one or more conditions. Exampleadjustments to be made to the objects of the trading strategy includecancellation of an order, changes to quantity of an order and/or changesin price of an order. Example conditions of the rules that have thepotential to trigger such adjustments include an available quantity of aleaned-on object falling below a threshold. For example, the tradingdevice 110 operating in accordance with the rules may trigger acancellation or quantity change of a quoting order of the tradingstrategy when the available quantity of the lean leg object reaches orfalls below a minimum quantity defined in the rules.

To determine whether any of the rules that apply to the current orderhave been violated by, for example, a threshold quantity of theleaned-on object being reached, the example trading device 110 performsan analysis on the one or more market conditions associated with therules (block 506). In the illustrated example of FIG. 5A, the currentlyavailable quantity of the lean leg tradeable object is identified todetermine a corresponding current market depth (block 506). Additionalor alternative conditions of the market associated with the lean legtradeable object may be generated and/or obtained. For example, factorsrelated to a price associated with the lean leg tradeable object, suchas a movement of the price and/or a number of ticks associated with thelean leg tradeable object may be checked. In some examples, a slop quotecheck and/or a smart quote check are performed to filter out movementsin price within a tolerance set by, for example, the trading device 110.The results of the analysis are compared to the rules that define theadjustment triggering condition(s) (block 508). In the illustratedexample, the rules include threshold and/or percentages for theavailable quantity in the lean leg based on, for example, a quantity ofthe quoting leg. In other words, the rules include expressions,algorithms, and/or other type(s) of calculations that dictate a value ofa threshold available quantity in the leaned-on market. For example, athreshold available quantity for the lean leg may be set by the rules tocorrespond to a certain percentage of the associated quoting leg. Whennone of the rules is violated according to the comparison of theanalysis results and the rules, control returns to block 504 (block510). When one or more of the rules is violated, thereby triggering anadjustment, an adjustment condition is said to exist in connection withthe trading strategy and control proceeds to block 512.

In the illustrated example of FIG. 5A, a confirmation period isinitiated in response to the detection of the adjustment condition(block 512). The confirmation period of the illustrated example providesan opportunity for a value associated with the detected adjustmentcondition to resolve or return back to a level that does not violate therule before the corresponding adjustment is executed or performed.Therefore, when the example confirmation period of FIG. 5A isimplemented in connection with, for example, a dynamic trading tool thatmakes adjustments to orders, at least some of the adjustments are notperformed immediately after detection of an adjustment condition.Instead, such a system delays or, if the adjustment condition ceasesduring the confirmation period, cancels the adjustment corresponding tothe violated rule.

In the example of FIG. 5A, one or more parameters of the exampleconfirmation period are calculated and/or obtained in response to theinitiation of the confirmation period (block 514). Example parameters ofthe confirmation period include a duration of the confirmation periodand intervals at which conditions are reevaluated during theconfirmation period. Different durations may be set for specific tradingstrategies, specific aspects of one or more trading strategies, types oftrading strategies, specific tradeable objects, types of tradeableobjects, etc. The duration can be defined by, for example, a number ofreceived market updates, a fixed amount of time, or a dynamic amount oftime that varies depending on one or more factors. Alternatively, theduration can be defined by a combination of a number of market updates,a fixed amount of time, and/or a dynamic amount of time that variesdepending on one or more factors.

When the duration is defined by a number of received market updatesand/or a fixed amount of time, the number and/or amount of time can bebased on, for example, a user configurable setting and/or an identity ofthe market(s) in which the corresponding tradeable object is beingtraded, which the user may also set. For example, when the tradingstrategy indicates that the leaned-object is to be traded at a firstexchange, the duration of the confirmation period is set to a firstnumber of market updates, while the duration is set to a second(different) number of market updates when the trading strategy indicatesthat the leaned-on object is to be traded a second (different) exchange.As different exchanges or markets having different trends, tendencies,and/or patterns related to how often updates are issued and/or action istaken by traders, the ability to set the duration of the confirmationbased on exchanges provides an ability to tailor the confirmation periodaccordingly. Additionally or alternatively, a user configurable settingmay indicate that the duration of the confirmation period is a firstamount of time for a first trading strategy and that the duration of theconfirmation period is a second (different) amount of time for a second(different) trading strategy. In connection with some markets, objects,trading strategies, etc., the user may wish to be conservative regardinghow long the analyzed market has to recover from the detected adjustmentcondition. However, in connection with other markets, objects, tradingstrategies, etc., the user may wish to be aggressive regarding how longthe analyzed market has to recover from the detected adjustmentcondition. Enabling the user to set the duration of the confirmation toa certain fixed amount of time for different scenarios provides the userthe ability to tailor the confirmation period and the advantages thereofto particular desires or strategies.

When the duration of the confirmation period is defined by a dynamicamount of time (rather than a fixed amount of time and/or a number ofupdates), the dynamic amount of time is based on, for example, a rollingaverage of amounts of time between received market updates associatedwith leaned-on object. To compute the rolling average, amounts of timebetween the market updates is tracked in, for example, a log or othertype of data structure. A set of the most recent tracked values such as,for example, the most recent twenty amounts of time between marketupdates can be averaged to calculate a current value for the dynamicamount of time. The dynamic amount of time to define the duration of theconfirmation can be the rolling average and/or some variant of therolling average such as, for example, a percentage of the rollingaverage. Thus, the dynamic amount of time that can be used to define theduration of the confirmation period enables the confirmation period tobe tailored to recent data that more accurately (relative to older data)reflects current market conditions.

In some examples, a combination of values defines the duration of theconfirmation period. In such instances, the confirmation period can beset to expire upon, for example, the earliest of the component values orthe latest component values. For example, when the duration of theconfirmation period is defined based on a combination of a fixed amountof time and a number of market updates, the confirmation period can beset to expire when the fixed amount of time expires or the number ofmarket updates have been received. Alternatively, when the duration ofthe confirmation period is defined based on a combination of a fixedamount of time and a dynamic amount of time, the confirmation period canbe set to expire when the greater of the fixed amount of time and thedynamic amount of time expires. Additional or alternative combinationsare possible.

Another example parameter for the confirmation period is an intervalvalue at which the detected adjustment condition is reevaluated duringthe confirmation period. This parameter is referred to herein as thereevaluation interval. For example, assuming the duration of theconfirmation period is ten (10) seconds, a reevaluation interval for theconfirmation period can be set to, for example, two (2) seconds. In suchinstances, the condition that triggered the potential adjustment isreevaluated every two (2) seconds. In some examples, assuming theduration of the confirmation period is four (4) market updates, areevaluation interval for the confirmation period can be set to, forexample, one (1) market update. In such instances, the condition thattriggered the potential adjustment is reevaluated each time a marketupdate is received in connection with the corresponding tradeableobject. In some examples, the reevaluation interval is set to equal theduration of the confirmation period such that a single reevaluationoccurs at an end of the confirmation period.

When the confirmation period parameter(s), such as the duration, thereevaluation interval, and/or other parameters are obtained in theexample of FIG. 5A, control proceeds to FIG. 5B. When control arrives atFIG. 5B, an adjustment condition has been detected (block 510 of FIG.5A) and a confirmation period has been initiated (block 512 of FIG. 5A).Thus, when the reevaluation interval of the confirmation period occurs(block 516), the adjustment condition that triggered the confirmationperiod is reevaluated (block 518). In the illustrated example, thereevaluation includes calculating an available quantity of an object ofthe lean leg of the trading strategy at a time corresponding to theoccurrence of the reevaluation interval. If the adjustment conditionstill exists (block 520), the adjustment triggered by the detectedcondition is prevented from occurring and control returns to FIG. 5A(block 522). In the illustrated example, such a scenario corresponds tothe available quantity of the object of the lean leg returning to alevel that does not violate the corresponding rule, such as a thresholdquantity. Thus, the triggered adjustment, such as a reduction orcancellation of a quoting leg order, is not executed.

If the adjustment condition persists at the reevaluation interval (block520), the duration of the confirmation period is referenced to determinewhether the confirmation period has elapsed. As the duration of theconfirmation period may be based on a plurality of possible factors, theexample of FIG. 5B determines a basis for the duration and evaluates thecorresponding definition. Although the example of FIG. 5B includesconsideration of a plurality of bases for the duration, additional oralternative duration definitions are possible. In the example of FIG.5B, if the duration of the confirmation period is based on an amount oftime (block 524), such as a fixed amount of time or a dynamic amount oftime, the definition of the duration is referenced to determine whetherthe amount of time has elapsed since the initiation of the confirmationperiod (block 526). In the illustrated example, if the amount of timedefining the duration of the confirmation period has elapsed (block526), the adjustment that triggered the confirmation period is executedand control returns to FIG. 5A (block 528).

When the duration of the confirmation period is based on an amount oftime (block 524) and the amount of time has not elapsed (block 526), thedefinition of the duration is referenced to determine if the duration ofthe confirmation period is also based on a number of market updates(block 530). That is, the duration of the confirmation period may bebased on a combination of an amount of time and a number of marketupdates. If the duration of the confirmation period is based on anamount of time (block 524), the amount of time has not elapsed (block526), and the duration is not based on a number of market updates (block530), control returns to block 516. However, if the duration of theconfirmation period is based on an amount of time (block 524), theamount of time has not elapsed (block 526), and the duration is based ona number of market updates (block 530), the definition of the durationis referenced to determine whether the number of market updates has beenreceived (block 532). If the number of market updates defining theduration of the confirmation period has been received (block 532), theadjustment that triggered the confirmation is executed and controlreturns to FIG. 5A (block 528). However, if the number of market updatesdefining the duration of the confirmation period has not been received(block 532), control proceeds to block 516.

Referring back to block 524, if the duration is not based on an amountof time, the example of FIG. 5B assumes that the duration is based on anumber of market updates and control proceeds to block 532. However,additional or alternative approaches are possible.

FIG. 6 is a flowchart representative of example operations that can beexecuted to implement block 514 of FIG. 5A, which calculates and/orobtains a value for a duration of an initiated confirmation period. Inthe example of FIG. 6, a definition of the duration for the confirmationis referenced to determine whether the duration is based on a fixedamount of time and/or number of market updates (block 600). For example,one or more settings associated with the example trading device 110 ofFIG. 1 and/or a dynamic trading tool associated with the trading device110 may be set to a fixed value for the duration of the confirmationperiod across different trading strategies, across different types oftradeable objects, different markets, etc. If the duration is based on afixed amount of time and/or a fixed number of market updates (block600), the amount of time and/or the number of market updates is obtainedfor the current confirmation period (block 602). The example of FIG. 6then ends (block 604).

Otherwise, the definition of the duration for the confirmation isreferenced to determine whether the duration is based on a market orexchange at which an object of, for example, a lean leg of a tradingstrategy is to be traded according to, for example, the trading strategy(block 606). If so, an identifier of the specific market or exchange isused to obtain an amount of time and/or number of market updates from,for example, one or more user configuration settings that define thecorresponding duration based on the identified market or exchange (block608). The example of FIG. 6 then ends (block 604).

Otherwise, if the duration of the confirmation period is not based on afixed amount of time or number of market updates and is not based on amarket or exchange, the example of FIG. 6 assumes that the duration ofthe confirmation period is based on a dynamic factor (block 610).However, additional or additional bases for the duration are possible.In the illustrated example, the dynamic factor on which the duration isbased is a rolling average of recent amounts of time between marketupdates. Additional or alternative dynamic factors are possible. So thatthe dynamic value for different instances of the duration can becalculated, the example of FIG. 6 logs an amount of time that has passedsince the previous market update (block 612). Logging the amount of timeincludes storing the amount of time in any suitable data structure. Thecurrent value of the rolling average is calculated based on a set of themost recent log entries (block 614). A size of the set of entries to beused for the rolling average calculation can be set by, for example, auser and/or a trading tool acting on behalf of the user. The calculatedvalue of the rolling average is used for the dynamic value on which theduration of the current confirmation period is based (block 616). Theexample of FIG. 6 then ends (block 604).

FIG. 7 is a block diagram of an example confirmation period module 700that may implement and/or execute the example operations of FIGS. 5A, 5Band/or 6. In some examples, the confirmation period module 700 may beimplemented as a part of the trading application 330 associated with thetrading device 110 of FIG. 1 and/or the trading device 210 of FIG. 2. Insome examples, the confirmation period module 700 may be implemented ascomputer implemented code or instructions operable independent of atrading application. In some examples, the features and functionality ofthe confirmation period module 700 may be implemented in hardwareoperable in connection with the trading device 110 of FIG. 1 and/or thetrading device 210 of FIG. 2.

While a trading strategy is being processed, a dynamic trading tool maydetect a condition that triggers a potential adjustment to, for example,a quoting leg of the trading strategy. Such a condition may correspondto, for example, an available quantity of an object of a lean legdropping below a threshold. In some instances, when such an adjustmentcondition is detected, the example confirmation period module 700implements a confirmation period before the corresponding adjustment isexecuted. In some examples, the confirmation period module 700 of FIG. 7performs one or more operations associated with the detection of theadjustment triggering condition. Alternatively, the example confirmationperiod module 700 may be initiated or called by another component, suchas a dynamic trading tool associated with the adjustment triggeringcondition.

The example confirmation period module 700 of FIG. 7 includes an orderanalysis module 702 to receive and process a trading strategy, such as aspread, being executed by, for example, the trading device 110 ofFIG. 1. The example order analysis module 702 identifies certaincharacteristics of the trading strategy such as, for example, acorresponding user and/or one or more settings and/or rules associatedwith the user and/or the specific trading strategy. In the illustratedexample, the obtained settings and/or rules associated with the tradingstrategy and/or the corresponding user are loaded into a set ofadjustment rules 704 and settings 706 for use in connection with theexample confirmation period module 700. The example adjustment rules 704of FIG. 7 include parameters of adjustment conditions that can triggeran adjustment of one or more aspects of the trading strategy, such as acancellation of a quoting order or a change in the quantity of thequoting order. The example settings 706 of FIG. 7 include parametersthat define the corresponding confirmation period such as, for example,a duration of the confirmation period, a basis on which the duration isdefined, a reevaluation interval of the confirmation period, etc.

The example confirmation period module 700 of FIG. 7 includes an objectidentification module 708 to identify object(s) of the trading strategysuch as, for example, tradeable object(s) of a quoting leg and/ortradeable object(s) of a lean leg. The example object identificationmodule 708 of FIG. 7 also identifies markets or exchanges at which theidentified object(s) are to be trading according to, for example, thetrading strategy.

The example confirmation period module 700 of FIG. 7 includes a quantitycalculation module 710 to calculate an available quantity of objects atone or more exchanges. For example, the quantity calculation module 710calculates an available quantity of the identified object of the leanleg of the trading strategy. In some examples, the quantity calculationmodule 710 is used in connection with an effort to detect an adjustmentcondition of the trading strategy before a corresponding confirmationperiod has been initiated. In some examples, the quantity calculationmodule 710 is used in connection with a reevaluation of the adjustmentcondition after a corresponding confirmation period has been initiated.For example, the example quantity calculation module 710 may calculatean available quantity of a tradeable object when a reevaluation intervalhas occurred during the confirmation period.

The example confirmation period module 700 of FIG. 7 includes acomparator module 712 to compare results from the quantity calculationmodule 710 to, for example, one or more of the adjustment rules. Inother words, the example comparator module 712 determines if anadjustment condition exists. In some examples, the comparator module 712is used in connection with an effort to detect an adjustment conditionof the trading strategy before a corresponding confirmation period hasbeen initiated. In some examples, the comparator module 712 is used inconnection with a reevaluation of the adjustment condition after acorresponding confirmation period has been initiated. For example, theexample comparator module 712 may compare a current result generated bythe quantity calculation module 710 to a violated one of the adjustmentrules 704 that triggered the confirmation period when a reevaluationinterval has occurred during the confirmation period.

The example confirmation period module 700 of FIG. 7 includes aparameter identifier module 714 to obtain one or more parametersregarding the confirmation period such as, for example, a duration ofthe confirmation period and/or a reevaluation interval of theconfirmation period. In some examples, the parameter identifier module714 obtains the parameter(s) directly from the settings 706. Forexample, when the duration of the confirmation period is based on afixed amount of time or a fixed number of market updates, the parameteridentifier module 714 references the settings to obtain the duration. Insome examples, the parameter identifier module 714 uses the identity ofone or more markets or exchanges associated with the trading strategy(as determined by the object identification module 708) to reference,for example, the settings 706. In such instances, the settings 706include different parameter(s) for the confirmation period depending onthe identity of the market(s) and/or exchange(s) associated with thetrading strategy. The example parameter identifier module 714 may obtaina reevaluation interval for the confirmation period in a similar manneras the duration of the confirmation period.

In some example, the parameter identifier module 714 interacts with adynamic value tracking module 716 to obtain, for example, a duration ofthe confirmation period and/or a reevaluation interval when the durationand/or reevaluation interval of the confirmation period is based on ordefined by a dynamic factor. For example, the duration of theconfirmation period may be defined by an algorithm that determines arolling average of amounts of time between market updates. In suchinstances, the dynamic value tracking module 716 maintains a marketupdate log 718 such that the dynamic factor can be calculated based onrecent data. Each time a first market update is received after a secondmarket update, the example dynamic value tracking module logs an amountof time in between the first and second market updates in the marketupdate log 718. The example dynamic value tracking module 716 uses thelogged amounts of time to generate the rolling average based on a recentset of log entries. The amount of log entries to use in the calculationof the rolling average can be set by, for example, the dynamic valuetracking module 716, a user, and/or a trading tool acting on behalf of auser. Further, the amount of log entries to use in the calculation ofthe rolling average and/or additional or alternative aspects of thedynamic factor calculation can depend on, for example, the correspondingmarket or exchange, the specific trading strategy, a type of the tradingstrategy, a specific tradeable object of the trading strategy, a type ofone or more objects of the trading strategy, etc. The rolling averageand/or a variant thereof, such as a fraction or percentage of therolling average, can be used for a current instance of the confirmationperiod.

The example confirmation period module 700 of FIG. 7 includes anevaluator module 720 to determine whether an initiated confirmationperiod has elapsed and/or whether an interval associated with thereevaluation interval of the confirmation period has occurred. Theconfirmation period may elapse when, for example, an amount of timedefining the duration of the confirmation period has elapsed since theinitiation of the confirmation period and/or a number of market updatesdefining the duration of the confirmation period has been received sincethe initiation of the confirmation period. The example evaluator module720 of FIG. 7 tracks an amount of time that has elapsed since theinitiation of the confirmation period, a number of market updatesreceived since the initiation of the confirmation period, and/or anyother characteristic or data associated with the definition of theduration of the confirmation period. The example evaluator module 720uses the tracked values to determine whether the duration of theconfirmation period has expired.

While the evaluator module 720 indicates that the duration of theconfirmation period has not elapsed, the example quantity calculationmodule 710 and the comparator module 712 reevaluate the condition thattriggered the confirmation period at intervals according to thereevaluation interval. In the illustrated example of FIG. 7, if thecondition that triggered the confirmation period ceases to exist duringthe confirmation period, the confirmation period module 700 generates anindication that the corresponding adjustment is to be prevented. Theindication is received by the dynamic trading tool, which foregoes thetriggered adjustment. In the illustrated example of FIG. 7, if thecondition that triggered the confirmation period persists throughout theconfirmation period, the confirmation period module 700 generates anindication that the corresponding adjustment should be made. Theindication is received by the dynamic trading tool, which executes theadjustment. In some examples, more complex determinations regarding thegeneration of the indication are possible. For example, the confirmationperiod module 700 may determine whether the adjustment triggeringcondition existed for a certain percentage of the confirmation periodand, if so, may generate an indication that the adjustment should beexecuted.

Some of the described figures depict example block diagrams, systems,and/or flow diagrams representative of methods that may be used toimplement all or part of certain embodiments. One or more of thecomponents, elements, blocks, and/or functionality of the example blockdiagrams, systems, and/or flow diagrams may be implemented alone or incombination in hardware, firmware, discrete logic, as a set of computerreadable instructions stored on a tangible computer readable medium,and/or any combinations thereof, for example.

The example block diagrams, systems, and/or flow diagrams may beimplemented using any combination of application specific integratedcircuit(s) (ASIC(s)), programmable logic device(s) (PLD(s)), fieldprogrammable logic device(s) (FPLD(s)), discrete logic, hardware, and/orfirmware, for example. Also, some or all of the example methods may beimplemented manually or in combination with the foregoing techniques,for example.

The example block diagrams, systems, and/or flow diagrams may beperformed using one or more processors, controllers, and/or otherprocessing devices, for example. For example, the examples may beimplemented using coded instructions, for example, computer readableinstructions, stored on a tangible computer readable medium. A tangiblecomputer readable medium may include various types of volatile andnon-volatile storage media, including, for example, random access memory(RAM), read-only memory (ROM), programmable read-only memory (PROM),electrically programmable read-only memory (EPROM), electricallyerasable read-only memory (EEPROM), flash memory, a hard disk drive,optical media, magnetic tape, a file server, any other tangible datastorage device, or any combination thereof. The tangible computerreadable medium is non-transitory.

Further, although the example block diagrams, systems, and/or flowdiagrams are described above with reference to the figures, otherimplementations may be employed. For example, the order of execution ofthe components, elements, blocks, and/or functionality may be changedand/or some of the components, elements, blocks, and/or functionalitydescribed may be changed, eliminated, sub-divided, or combined.Additionally, any or all of the components, elements, blocks, and/orfunctionality may be performed sequentially and/or in parallel by, forexample, separate processing threads, processors, devices, discretelogic, and/or circuits.

While embodiments have been disclosed, various changes may be made andequivalents may be substituted. In addition, many modifications may bemade to adapt a particular situation or material. Therefore, it isintended that the disclosed technology not be limited to the particularembodiments disclosed, but will include all embodiments falling withinthe scope of the appended claims.

The invention claimed is:
 1. A non-transitory computer readable mediumhaving stored therein instructions executable by a processor, includinginstructions executable to: define, by an order analysis component, atrading strategy including a quoting leg associated with a firsttradeable object and a lean leg associated with a second tradeableobject; receive, by the order analysis component, an adjustment rule,wherein the adjustment rule defines an adjustment condition based on anavailable order quantity at a price for the second tradeable objectassociated with the lean leg; submit a first order message to a firstelectronic exchange for the first tradeable object in the quoting leg,wherein the first order message includes an order to buy or sell aquantity of the first tradeable object at a price, wherein the order ispending execution and is placed at an order queue position in an orderqueue at the first electronic exchange upon receiving the first ordermessage at the first electronic exchange; monitor, by a quantitycalculation component, the available quantity of the second tradeableobject in the lean leg for an occurrence of the adjustment conditionbased on market updates being received for the second tradeable objectfrom a second electronic exchange, wherein the occurrence of theadjustment condition is detected when the available quantity reaches apredefined threshold; detect, by a comparator component, the occurrenceof the adjustment condition based on the available quantity of thesecond tradeable object; in response to detecting the occurrence of theadjustment condition: prevent execution of an adjustment of the orderfor the first tradeable object in the quoting leg, wherein preventingexecution of the order for the first tradeable object includesrefraining from sending an order message to the first electronicexchange to adjust the order for the first tradeable object in thequoting leg, and wherein preventing execution of the adjustment resultsin maintaining the order queue position of the order for the firsttradeable object in the order queue at the first electronic exchange,wherein determining whether to execute the adjustment includesinstructions executable to: initiate, by a parameter identifiercomponent, a confirmation period and setting a duration of theconfirmation period to a first number of market updates to be receivedfrom the second electronic exchange for the second tradeable object;reevaluate, by the quantity calculation component and the comparatorcomponent, the adjustment condition that initiated the confirmationperiod based on the available quantity of the second tradeable object inmarket updates being received for the second tradeable object during theconfirmation period; monitor a number of market updates being receivedfor the second tradeable object to determine if the first number ofmarket updates defining the duration of the confirmation period has beenreceived from the second electronic exchange; determine an expiration ofthe confirmation period based on determining that the first number ofmarket updates has been received; if the adjustment condition is nolonger satisfied upon reevaluating during the confirmation period,prevent the adjustment of the order for the first tradeable object inthe quoting leg upon determining the expiration of the confirmationperiod such that the order queue position of the first order ismaintained in the order queue at the first electronic exchange; and ifthe adjustment condition continues to be satisfied upon reevaluatingduring the confirmation period, execute the adjustment associated withthe order for the quoting leg upon determining the expiration of theconfirmation period, wherein the adjustment includes sending a secondorder message to the first electronic exchange, wherein the second ordermessage includes a modified quantity or a modified price for the firsttradeable object in the quoting leg.
 2. The non-transitory computerreadable medium of claim 1, wherein the duration of the confirmationperiod is configurable by a user.
 3. The non-transitory computerreadable medium of claim 1, wherein the duration of the confirmationperiod is further based on a fixed amount of time.
 4. The non-transitorycomputer readable medium of claim 1, wherein the duration of theconfirmation period is dynamically set based on a factor.
 5. Thenon-transitory computer readable medium of claim 1, wherein theconfirmation period is set based on the second electronic exchange, thetrading strategy, or a market of one or more tradeable object associatedwith the trading strategy.
 6. The non-transitory computer readablemedium of claim 1, wherein the adjustment condition is re-evaluated at are-evaluation interval defined for the confirmation period.
 7. Thenon-transitory computer readable medium of claim 6, wherein there-evaluation interval is configurable by a user.
 8. The non-transitorycomputer readable medium of claim 6, wherein the re-evaluation intervalis based on a fixed amount of time.
 9. The non-transitory computerreadable medium of claim 6, wherein the re-evaluation interval is basedon a number of market updates for the second tradeable object.
 10. Thenon-transitory computer readable medium of claim 6, wherein there-evaluation interval is dynamically set based on a factor.
 11. Thenon-transitory computer readable medium of claim 6, wherein there-evaluation interval is set based on the second electronic exchange,the trading strategy, or a market of one or more tradeable objectassociated with the trading strategy.
 12. The non-transitory computerreadable medium of claim 1, wherein the adjustment further includesinstructions executable to send a cancellation message to cancel thefirst order for the first tradeable object associated with the quotingleg.
 13. The non-transitory computer readable medium of claim 1, whereinthe available quantity at the price for the tradeable object associatedwith the adjustment condition includes a lean on quantity at a lean onprice for the second tradeable object.
 14. The non-transitory computerreadable medium of claim 13, wherein the lean on quantity is based onthe quantity of the order in the quoting leg.
 15. The non-transitorycomputer readable medium of claim 1, wherein the adjustment condition isdetected when the available order quantity at the price for the secondtradeable object associated with the lean leg falls below the predefinedthreshold.